Publications

Published or Forthcoming Papers

Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil. ForthcomingEmpirical Economics, 2019.
Link to SSRN page

Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model. Forthcoming, The North American Journal of Economics and Finance, 2019. Joint with Filipe Stona.

Investigating the Use of Statistical Process Control Charts for Index Tracking Portfolios. Forthcoming, Journal of the Operational Research Society, 2019Joint with Leonardo R. Santana, Tiago P. Filomena and Denis Borenstein.

The Role of Taxes and the Interdependence Among Corporate Financial Policies: Evidence from a Natural Experiment.  Journal of Corporate Finance. 50(3): 402-423, 2018. Joint with Jefferson A. Colombo.
Link to SSRN page 

Yield Curve Forecast Combinations Based on Bond Portfolio Performance.  Journal of Forecasting. 37 (1): 64-82, 2018. Joint with Guilherme V. Moura and André. A. P. Santos.
Link to SSRN page

Combining Multivariate Volatility Forecasts: An Economic-Based Approach. Journal of Financial Econometrics. 15 (2): 247-285, 2017. Joint with Guilherme V. Moura, Francisco  J. Nogales, and André. A. P. Santos.
Link to SSRN page

Can we predict the financial markets based on Google’s search queries? Journal of Forecasting. 36 (4):454–467, 2017. Joint with Marcelo S. Perlin, André. A. P. Santos, and Martin Pontuschka.
Link to SSRN page

Index Tracking and Enhanced Indexing using Cointegration and Correlation with Endogenous Portfolio Selection65 (1) 146-157, 2017. The Quarterly Review of Economics and Finance. Joint with Leonardo R. Santana and Tiago P. Filomena.

Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data AnalysisJournal of Forecasting, 36 (1) 56-73, 2017. Joint with Hudson S. Torrent.
Link to SSRN page

Risk parity in the Brazilian marketEconomics Bulletin, 37 (3), 2017. Joint with Tiago P. Filomena, Denis Borenstein, and Marcelo B. Righi.
Link to SSRN page

Bond portfolio optimization using dynamic factor models.  Journal of Empirical Finance, 37 (June), 2016. Joint with Guilherme V. Moura and André. A. P. Santos.
Link to SSRN page

Predicting the yield curve using forecast combinationsComputational Statistics & Data Analysis, 100 (August), 2016. Joint with Guilherme V. Moura and André. A. P. Santos.
Link to SSRN page

A macro-finance term structure model with multivariate stochastic volatilityInternational Review of Economics & Finance, 44 (June), 2016. Joint with Márcio P. Laurini.
Link to SSRN page

Measuring Risk in Fixed Income Portfolios using Yield Curve ModelsComputational Economics, 46(1), 2015. Joint with Guilherme V. Moura and André. A. P. Santos.
Link to SSRN page

Financial Integration and the Cost of Capital: A Study of the Brazilian Equity MarketInternational Journal of Economics and Finance, 7(3), 2015. Joint with Tiago Loncan.
Link to SSRN page

Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock marketEconomics Bulletin, 32(3), 2012. Joint with Guilherme V. Moura and André. A. P. Santos.
Link to SSRN page

Break-even inflation rate and the risk premium: an alternative approach to the VAR models in forecasting the CPIEconomics Bulletin, 31(2), 2011. Joint with Luiz G. Furlani.
Link to SSRN page

 Publications in Brazilian Journals

Evidências de Bull e Bear Market no Índice Bovespa: Uma Aplicação de Modelos com Mudanças de Regime Markovianas com Dependência de DuraçãoBrazilian Review of Econometrics. 38(1): 39-74, 2018. Joint with Guilherme V. Moura and Fernando H. P. Mendes.

Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidenceEconomiA, 17(2), 2016.  Joint with Guilherme V. Moura, Fabrício Tourrucôo, and André. A. P. Santos.

Análise de Estilo Dinâmica de Fundos Multimercados: Aplicação para o Mercado BrasileiroAnálise Econômica, 34(1), 2016. Joint with Isabel G. Schutt.

Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa DataBrazilian Review of Econometrics, 35(1), 2015Joint with Flávio A. Ziegelmann and Bruna Borges.

Previsões macroeconômicas baseadas em modelos TVP-VAR: evidências para o BrasilRevista Brasileira de Economia, 69(4), 2015. Joint with Guilherme V. Moura and André. A. P. Santos.

Foreign portfolio capital flows and stock returns: a study of Brazilian listed firmsEstudos Econômicos, 45(4), 2015.  Joint with Tiago Loncan.

Seleção de carteiras ótimas sob restrições nas normas dos vetores de alocação: uma avaliação empírica com dados da BM&FBovespaRevista Brasileira Finanças, 13(3), 2015. Joint with Paulo Naibert.

Estrutura de capital, liquidez de caixa e valor da empresa: estudo de empresas brasileiras cotadas em bolsa. Revista Contabilidade e Finanças, 25(64), 2014. Joint with Tiago Loncan.

Seleção de carteiras com modelos fatoriais heterocedásticos: aplicação para fundos de fundos multimercadosRevista de Administração Mackenzie, 15(2), 2014. Joint with Guilherme V. Moura, André. A. P. Santos, and Cristina Tessari.

Seleção de carteiras utilizando o modelo Fama-French-CarhartRevista Brasileira de Economia, 67(1), 2013. Joint with Guilherme V. Moura and André. A. P. Santos.

Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro. EconomiA, 14(1B), 2013.

Inflação implícita e o prêmio pelo risco: uma alternativa aos modelos VAR na previsão para o IPCAEstudos Econômicos, 43(4), 2013.  Joint with Luiz G. Furlani.

Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado. Economia Aplicada, 17(2), 2013. Joint with Udilmar C. Zabot and Sidney M. Caetano.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage StrategyRevista Brasileira Finanças, 11(1), 2013. Joint with Guilherme V. Moura.

Otimização de carteiras de títulos públicosAdvances in Scientific and Applied Accounting, 5(3), 2012. Joint with Guilherme V. Moura and André. A. P. Santos.

Estimação da Estrutura a Termo da Curva de Juros no Brasil Através de Modelos Paramétricos e Não-Paramétricos. Análise Econômica, 29(55), 2011.

Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic VolatilityBrazilian Review of Econometrics, 30(1), 2010Joint with Marcelo S. Portugal and Márcio P. Laurini.

Efficient Yield Curve Estimation and Forecasting in Brazil. EconomiA, 11(1), 2010. Joint with Marcelo S. Portugal and Guilherme V. Moura.

Estratégia Long-Short, Neutra ao Mercado, e Index Tracking Baseadas em Portfólios Cointegrados. Revista Brasileira de Finanças, 8(4), 2010. Joint with Marcelo S. Portugal.

Working Papers

Performance of Pairs Trading with Distance and Mixed Copula Models: Evidence from S&P Companies. Joint with Fernando B Sabino and Flávio A. Ziegelmann.